Roguelikes tend to be the first games that come to mind when this description is given. Games like these usually have some form of permadeath, countless ways you can die from taking the wrong step, and unfair odds stacked against you just to survive, much less win. But in my opinion, that makes those few times where you do win even more satisfying.

Of course, one drawback to this genre is that you can do just about everything right and still end up losing to a bad run of events...but they often make for good "I almost made it, but then..." stories. Sacrifices to the RNG don't always help, but persistence usually does. Usually.

I know not every gamer enjoys games of this difficulty, but for those who do, what games make up your go-to list? Feel free to list any that don't have any roguelike elements, as long as the challenging difficulty and fun factors are present.

Here are just some of mine, and not a comprehensive list, by any means. My list is comprised of PC games, some which are indie games. Games on other platforms are more than welcome! They're in no particular order, with varying degrees of masochistic brutality between entries:

Some roguelikes, and/or heavily influenced by roguelikes:

Nethack
Dungeons of Dredmor (This one's quite good for those new to roguelikes, as it's not as punishing as some others in the genre.)
FTL: Faster Than Light
Zafehouse Diaries (I've had this for a few weeks, and I have yet to win a game of this, much less survive for more than about three or four game days; if you've played it, you probably know why.)
NEO Scavenger (This game is still in development, so there's no "story ending" yet. It's still quite playable, and it's difficult to survive.)
Lone Survivor
Weird Worlds: Return to Infinite Space
Dwarf Fortress
Notrium

I debated adding the original Teenage Mutant Ninja Turtles for NES to this list, but in the end I'm not sure how fun you can call a game you want to destroy with every fiber of your being by the time you're done being addicted.